Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0605 |
| Annualized Std Dev | 0.3125 |
| Annualized Sharpe (Rf=0%) | 0.1937 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3760.0000 |
| NAs | 1.0000 |
| Minimum | -0.1416 |
| Quartile 1 | -0.0089 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0096 |
| Maximum | 0.1075 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0004 |
| Stdev | 0.0197 |
| Skewness | -0.2129 |
| Kurtosis | 6.2944 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0141 |
| Gain Deviation | 0.0142 |
| Loss Deviation | 0.0148 |
| Downside Deviation (MAR=210%) | 0.0184 |
| Downside Deviation (Rf=0%) | 0.0139 |
| Downside Deviation (0%) | 0.0139 |
| Maximum Drawdown | 0.7794 |
| Historical VaR (95%) | -0.0290 |
| Historical ES (95%) | -0.0466 |
| Modified VaR (95%) | -0.0306 |
| Modified ES (95%) | -0.0533 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-01-22 | -0.7794 | 1419 | 444 | 975 |
| 2018-08-23 | 2020-04-03 | 2021-02-24 | -0.6139 | 630 | 406 | 224 |
| 2015-04-16 | 2016-01-19 | 2016-11-11 | -0.3138 | 400 | 192 | 208 |
| 2016-12-12 | 2017-08-21 | 2018-05-30 | -0.2158 | 368 | 174 | 194 |
| 2014-07-07 | 2014-10-13 | 2015-04-06 | -0.1496 | 189 | 70 | 119 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | -0.1 | -0.2 | 1.5 | 1 | -1.9 | 0.6 | -1 | -2.2 | -1.2 | -0.9 | -4.4 |
| 2007 | 0.8 | -0.9 | -0.2 | 0.6 | 1.1 | -0.9 | -0.2 | 0.9 | 2.2 | -4.1 | 0.1 | -0.8 | -1.6 |
| 2008 | 2.4 | -3.9 | 4.2 | 2.6 | -0.3 | 0.3 | -0.6 | -0.9 | 1.1 | 4.9 | -12.3 | 9.6 | 5.8 |
| 2009 | -3.7 | -3.5 | 1.1 | 2.4 | 7.6 | 2.9 | 1.2 | -4 | -5.7 | -4.7 | 2.4 | -1.6 | -6.2 |
| 2010 | 1.5 | 2.1 | 1.1 | -5.5 | -3.8 | -0.7 | 0 | 4.6 | 0.6 | -0.6 | 1.8 | -1.7 | -0.9 |
| 2011 | 2.3 | -1.5 | 0.2 | 0.1 | -2.7 | 1.9 | 0.3 | -3 | -1.6 | -4.7 | -0.3 | -0.7 | -9.3 |
| 2012 | 3.1 | 0.1 | -1.1 | -1.1 | -2.5 | 3.8 | -2.1 | 0.5 | 0.2 | 2.1 | 0 | 2.2 | 5 |
| 2013 | 1.1 | -0.4 | -1.2 | -2.9 | -1.2 | 1.5 | 1.2 | -2.6 | 1.1 | 0 | 0.2 | 0.1 | -3.1 |
| 2014 | -0.7 | 0.4 | 1.2 | -0.5 | -0.3 | 1 | 0 | 0.5 | -1.9 | 2 | -1.6 | -0.1 | -0.2 |
| 2015 | -1.5 | 0.5 | 0.1 | 0.4 | 0.1 | -0.4 | 0.7 | -3.1 | -0.5 | -0.4 | 0.6 | -0.8 | -4.1 |
| 2016 | -0.1 | 1.6 | -0.7 | -0.5 | 0.6 | 2 | -0.9 | -0.5 | 1.9 | -1.3 | 0.4 | -1.1 | 1.3 |
| 2017 | 0 | 2 | 0.5 | 0.4 | 2.3 | -0.3 | 0.1 | 0.9 | 0.2 | -1.1 | -1 | -0.6 | 3.6 |
| 2018 | 0.5 | -0.2 | 0.9 | -0.5 | 0.5 | -0.8 | -0.6 | 0.7 | -1.8 | 1.8 | 0.6 | 0.4 | 1.5 |
| 2019 | 0.4 | 0.6 | 2 | -1.4 | -2.1 | 0.3 | -3.2 | -0.3 | -2.2 | 2.2 | -0.9 | 0.9 | -3.9 |
| 2020 | -2.4 | 0 | -8 | -5.1 | 1.7 | -2.8 | -3 | 2 | 1.1 | -2.6 | 1.4 | 0.4 | -16.4 |
| 2021 | 2.4 | 3.5 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-03-07 37.6 SPY 128. -0.0016 -0.002 0.0135 0.0088 0.0422 0.546 0.0324 GLD 55.0 -0.0051 -0.02
2 2006-03-08 37.3 SPY 128. 0.0021 -0.0087 0.013 0.0131 0.0483 0.539 0.0292 GLD 54.0 -0.0178 -0.038
3 2006-03-09 37.3 SPY 127. -0.0067 -0.0153 0.0151 0.0044 0.053 0.566 0.0305 GLD 54.2 0.005 -0.0441
4 2006-03-10 37.6 SPY 129. 0.0095 -0.0013 0.0156 0.0199 0.0606 0.597 0.0309 GLD 53.8 -0.0076 -0.0435
5 2006-03-13 37.9 SPY 129. 0.0019 0.0051 0.0191 0.0225 0.0701 0.589 0.0218 GLD 54.3 0.0089 -0.0167
6 2006-03-15 38.4 SPY 131. 0.0045 0.0197 0.0344 0.0341 0.0884 0.554 0.0286 GLD 55.1 0.0046 0.0213
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
